[1]} contains an application of a trivariate \(\mathsf {MEM}\)  on three measures of volatility, estimated equation–by–equation, allowing for lagged dynamic interdependence [2]}. The same structure is adopted by [3]} in the context of daily range for several East Asian markets, where they test for market interdependence and spillovers in the Asian crisis of 1997. A full–fledged theory for vector \(\mathsf {MEM}\) , i.e. \(\mathsf {vMEM}\) , is suggested by [4]} in the context of copula functions [5]} and of Generalized Method of Moments [6]}. Diagnostics checking for \(\mathsf {MEM}\)  is provided by [7]} and by [8]} and for \(\mathsf {vMEM}\)  by [9]}.
An automated procedure for \(\mathsf {vMEM}\)  specification selection is proposed in [10]}.
Another development involving a trivariate intradaily market activity process is suggested by [11]} and a dynamic conditional correlation model with \(\mathsf {MEM}\)  is developed by [12]}.
